A stability theorem for stochastic differential equations with application to storage processes, random walks and optimal stochastic control problems

DOI10.1016/0304-4149(86)90036-0zbMath0609.60068OpenAlexW2069191976MaRDI QIDQ1086915

Keigo Yamada

Publication date: 1986

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(86)90036-0

zbMATH Keywords

optimal control problemsintegrals with respect to martingale measures

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Stability of strong solutions of stochastic differential equations ⋮ An extension of a theorem of K. Yamada to equations ``with memory ⋮ Stability theorem for stochastic differential equations with jumps

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